Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0415 |
| Annualized Std Dev | 0.1572 |
| Annualized Sharpe (Rf=0%) | 0.2641 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 5588.0000 |
| NAs | 1.0000 |
| Minimum | -0.0940 |
| Quartile 1 | -0.0046 |
| Median | 0.0004 |
| Arithmetic Mean | 0.0002 |
| Geometric Mean | 0.0002 |
| Quartile 3 | 0.0052 |
| Maximum | 0.0851 |
| SE Mean | 0.0001 |
| LCL Mean (0.95) | 0.0000 |
| UCL Mean (0.95) | 0.0005 |
| Variance | 0.0001 |
| Stdev | 0.0099 |
| Skewness | -0.0326 |
| Kurtosis | 7.9924 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0071 |
| Gain Deviation | 0.0070 |
| Loss Deviation | 0.0074 |
| Downside Deviation (MAR=210%) | 0.0122 |
| Downside Deviation (Rf=0%) | 0.0070 |
| Downside Deviation (0%) | 0.0070 |
| Maximum Drawdown | 0.3781 |
| Historical VaR (95%) | -0.0152 |
| Historical ES (95%) | -0.0232 |
| Modified VaR (95%) | -0.0146 |
| Modified ES (95%) | -0.0219 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2000-12-29 | 2003-03-10 | 2007-11-28 | -0.3781 | 1737 | 547 | 1190 |
| 2007-12-11 | 2009-03-09 | 2010-12-16 | -0.3418 | 761 | 312 | 449 |
| 1999-03-19 | 2000-03-07 | 2000-11-28 | -0.3266 | 430 | 245 | 185 |
| 2020-02-18 | 2020-03-23 | 2020-08-24 | -0.2494 | 132 | 25 | 107 |
| 2018-01-29 | 2018-12-24 | 2019-06-11 | -0.1700 | 344 | 229 | 115 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1999 | -0.4 | -0.5 | 0.2 | -1.3 | 0.4 | 0.7 | -0.6 | -0.4 | 1.6 | 0.2 | -0.4 | 0.1 | -0.4 |
| 2000 | -1 | -0.9 | -0.5 | 1.3 | 0.3 | 1.1 | 3.3 | -0.6 | 0.4 | -0.1 | -1.5 | -0.3 | 1.3 |
| 2001 | 0.9 | -0.9 | 0.1 | 1.1 | 1.3 | -2.6 | 0 | -0.7 | 0.8 | 2.3 | -0.2 | -0.6 | 1.4 |
| 2002 | 0.1 | 1.9 | -0.2 | 1.4 | 0.5 | 1 | -0.9 | 0.8 | 3 | 1.3 | -0.6 | -0.4 | 8 |
| 2003 | 2.6 | -0.4 | -0.3 | -0.1 | 1.1 | 0.8 | -1 | 0 | 1.8 | 0.2 | -0.2 | 0.6 | 5.2 |
| 2004 | -0.5 | 1.1 | -0.4 | 0.2 | 0 | -1 | 0 | 0 | 1 | -0.2 | 1.3 | -0.3 | 1.2 |
| 2005 | 0 | 0.8 | -1 | 0.3 | 0.7 | 0.4 | -0.5 | -0.1 | 0.7 | -0.6 | 0.7 | -0.8 | 0.5 |
| 2006 | 0.3 | 0.4 | -0.4 | 0 | 0.5 | -0.5 | -0.5 | 0.5 | -0.3 | -0.8 | -0.3 | -0.5 | -1.5 |
| 2007 | 0.4 | 0 | 0.3 | -0.4 | 0.5 | 0.1 | 1.5 | 0.3 | -0.3 | -2 | 0.1 | -0.8 | -0.4 |
| 2008 | 1 | -1.9 | 1.2 | 1.8 | 0.6 | -0.1 | -0.2 | -1 | 0.7 | -0.6 | -5.5 | 1 | -3.1 |
| 2009 | -3.1 | -0.6 | 1.7 | 0.4 | 2 | 1.7 | -0.2 | -0.9 | -0.9 | -1.6 | 1.4 | -1 | -1.2 |
| 2010 | 0.8 | 0.7 | 0.6 | -0.6 | -0.2 | 0.2 | 0.3 | 1.8 | 0.2 | -0.4 | 1.6 | 0 | 5 |
| 2011 | 0.7 | -0.8 | 0.5 | 0.3 | -1 | 0.8 | -0.4 | -0.4 | -1 | -1.7 | -0.2 | -0.5 | -3.6 |
| 2012 | 0.7 | -0.2 | 0.6 | 0.3 | -1.8 | 1.9 | -0.5 | 0 | 0.7 | 0.1 | 0.4 | 1.3 | 3.4 |
| 2013 | 0.8 | 0.3 | -0.1 | -0.1 | -1.9 | 0.7 | 0.8 | 0.3 | 0.6 | 0.4 | -0.2 | 0.1 | 1.9 |
| 2014 | -0.5 | 0.7 | -0.2 | -0.1 | 0.8 | 0.2 | 0.8 | 0.1 | -0.6 | 0.6 | -0.7 | -1.2 | -0.1 |
| 2015 | -1.8 | 0.4 | 0.1 | 0.9 | 0 | 1.3 | 0.2 | -2.1 | 0 | -1.1 | 0.8 | -1.1 | -2.4 |
| 2016 | 0.3 | 1 | 1.1 | -0.2 | 1 | -0.5 | 0.1 | 0 | 1 | -0.4 | -0.7 | -0.5 | 2.3 |
| 2017 | -0.8 | 0.5 | -0.3 | -0.4 | 0.8 | 0.2 | -0.1 | 0.5 | -0.1 | 0.3 | 0.2 | 0 | 0.9 |
| 2018 | -0.4 | -0.2 | 0.7 | -0.9 | 0 | -0.1 | -0.8 | 0 | -0.1 | 0.7 | 0.6 | 0.4 | -0.1 |
| 2019 | -0.3 | -0.2 | -0.3 | -1.2 | -1.4 | 0.6 | -0.4 | -0.1 | -0.3 | 0 | 0 | 0.1 | -3.5 |
| 2020 | -1.1 | -2 | -1.7 | -1.1 | 0.7 | 0.1 | -0.1 | 0.1 | 0.6 | -0.4 | 0.9 | 0.7 | -3.3 |
| 2021 | 0.1 | 1 | 0.3 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 1.5 |
Row
Price Chart
Row
Rolling Performance Chart
Row
Snail Trail Chart
